Narrow search
Showing 1 - 10 of 10,810
Cover Image
The Monetary Model Strikes Back; Evidence From the World
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008
We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in...
Persistent link: https://www.econbiz.de/10005263651
Cover Image
Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …
Persistent link: https://www.econbiz.de/10005825693
Cover Image
Vietnam; Bayesian Estimation of Output Gap
Maliszewski, Wojciech - International Monetary Fund (IMF) - 2010
The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other parameters. Model coefficients are easily interpretable, and the output gap series is...
Persistent link: https://www.econbiz.de/10008560446
Cover Image
Forecasting Commodity Prices; Futures Versus Judgment
Husain, Aasim M.; Bowman, Chakriya - International Monetary Fund (IMF) - 2004
This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear...
Persistent link: https://www.econbiz.de/10005599405
Cover Image
The Random-Walk Hypothesis on the Indian Stock Market
Mishra, Vinod; Smyth, Russell; Mishra, Ankita - Department of Econometrics and Business Statistics, … - 2014
This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random...
Persistent link: https://www.econbiz.de/10010861723
Cover Image
New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach
Tiwari, Aviral Kumar; Kyophilavong, Phouphet - In: Economic Modelling 43 (2014) C, pp. 38-41
We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based unit root test by Fan and Gençay (2010) along with a battery of unit root tests. We also examine the sensitivity of the wavelet-based unit...
Persistent link: https://www.econbiz.de/10010939703
Cover Image
Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices
Chancharat, Surachai; Valadkhani, Abbas - Volkswirtschaftliche Fakultät, … - 2007
This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...
Persistent link: https://www.econbiz.de/10011107635
Cover Image
Random Walk and Multiple Structural Breaks In Thai Stock Market
Chancharat, Surachai; Kamalian, Amin Reza; Valadkhani, Abbas - Volkswirtschaftliche Fakultät, … - 2009
The Zivot and Andrews (1992) one-break and Lumsdaine and Papell (1997) two-break unit root tests are used to investigate the random walk hypothesis in Thai stock prices for the period December 1987 to December 2005. The results provide strong evidence that the Thai stock prices are characterized...
Persistent link: https://www.econbiz.de/10011113578
Cover Image
Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices
Chancharat, Surachai; Valadkhani, Abbas - School of Accounting, Economics, and Finance, … - 2007
This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...
Persistent link: https://www.econbiz.de/10005515407
Cover Image
Early and Late Reformers: Long-Term Trends of Public Expenditure in 21 OECD Countries
Osterkamp, Rigmar - In: CESifo DICE Report 1 (2003) 1, pp. 46-47
Persistent link: https://www.econbiz.de/10005037349